NBA 6450

NBA 6450

Course information provided by the Courses of Study 2014-2015.

This course introduces students to a variety of advanced investment strategies on modern financial markets. The quantitative trading strategies are based on time-series and cross-sectional return predictability on global financial assets such as equity indices, foreign currencies, commodities, and sovereign bonds. In particular, we study the fundamentals of commodity futures returns and momentum strategy on commodity investment, the carry trade and momentum strategy on currency investment, the volatility strategy on option investment. In addition to delivering trading strategies, we pay close attention to common risk factors behind these investment strategies. Special topics change from one year to another to reflect recent trends and practices in industry, and also the state-of-art research in academia. This year's special topics are stock crash concerns and expected returns, rare disaster concerns and hedge fund performance, and global tail risks across different asset classes.

When Offered Fall.

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Syllabi: none
  •   Seven Week - Second. 

  • 1.5 Credits Grade(GRV)

  • 15404 NBA 6450   LEC 001

  • Instruction Mode:
    ***JOHNSON AND GRAD STUDENTS ONLY***. Add/Drop Dates: August 11th thru September 9th with an additional Add/Drop period beginning October 15th at 8:00am to October 21st at 4:00pm. You may add or drop a second-half class after October 21st with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 28th you will also receive a "W" on your transcript in addition to the late fees. Non-Johnson students must see their college registrar regarding policies connected with adding/dropping a second half Johnson School class. A petition may be required.